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Investor Attention and Global Stock Market Volatility: Evidence from COVID-19

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  • Chaiyuth Padungsaksawasdi
  • Sirimon Treepongkaruna

Abstract

This paper utilizes intraday five-minute stock market indices to investigate the causal relation between global stock market volatility and investor attention measured by the Google search volume index during the COVID-19 pandemic. Using the bi-power variation method proposed by Barndorff-Nielsen and Shephard (2004), we separate the realized volatility into two components: Continuous and Jump. Based on 5,583 stock indices-day observations, we find that investor attention is positively related to the realized volatility and its continuous component, but to a lesser extent to jumps. A growth in confirmed cases is positive to all measures of market volatility. Moreover, when the number of confirmed cases increases, more attentive investors reduce market volatility. Our findings are robust regarding various estimation approaches and are less likely to suffer from omitted variable biases and endogeneity concerns. Understanding the findings revealed in this paper is crucial to regulators and policymakers as warnings of additional risks facing retail investors around the globe over the extremely volatile periods. JEL Codes: G14; G15; G40; G41

Suggested Citation

  • Chaiyuth Padungsaksawasdi & Sirimon Treepongkaruna, 2023. "Investor Attention and Global Stock Market Volatility: Evidence from COVID-19," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 22(1), pages 85-104, March.
    • Handle: RePEc:sae:emffin:v:22:y:2023:i:1:p:85-104
    DOI: 10.1177/09726527221148579
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    References listed on IDEAS

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    More about this item

    Keywords

    Investor attention; Google search index; COVID-19; global equity market; jumps; volatility;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G40 - Financial Economics - - Behavioral Finance - - - General
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets

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